Interview Question

Interview Chicago, IL

You have a Portfolio with Delta=50. How would you hedge it?

Tags:
trading, financial engineering
Answer

Interview Answer

1 Answer

1

Buy one at-the-money put option for the portfolio. This will have a delta of -50. Thus the total delta will be 0.

Anonymous on Sep 25, 2012

Add Answers or Comments

To comment on this, Sign In or Sign Up.